Daniel Mantilla-Garcia

Universidad de Los Andes - School of Management

Assistant Professor

Bogota, Bogota D.C.

Colombia

EDHEC Risk Institute

Lille

France

SCHOLARLY PAPERS

10

DOWNLOADS
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Top 27,780

in Total Papers Downloads

2,179

SSRN CITATIONS
Rank 46,071

SSRN RANKINGS

Top 46,071

in Total Papers Citations

7

CROSSREF CITATIONS

8

Scholarly Papers (10)

1.

Dynamic Allocation Strategies for Absolute and Relative Loss Control

Algorithmic Finance 2014, 3:30-4, pp. 209-231
Number of pages: 24 Posted: 08 Mar 2014 Last Revised: 12 Dec 2014
Daniel Mantilla-Garcia
Universidad de Los Andes - School of Management
Downloads 562 (60,243)
Citation 2

Abstract:

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Risk Management, Portfolio Insurance, Hedging Overlay, Loss Aversion, Benchmarks

2.

A Model-Free Measure of Aggregate Idiosyncratic Volatility and the Prediction of Market Returns

CIRANO - Scientific Publication No. 2013s-01
Number of pages: 58 Posted: 19 Jan 2013
René Garcia, Daniel Mantilla-Garcia and Lionel Martellini
Université de Montréal - CIREQ - Département de sciences économiques, Universidad de Los Andes - School of Management and EDHEC Business School
Downloads 421 (85,693)
Citation 4

Abstract:

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Aggregate idiosyncratic volatility, cross-sectional dispersion, prediction of market returns

3.

An Alternative Model of Expected Returns and its Implications for Return Predictability

Number of pages: 68 Posted: 25 May 2014 Last Revised: 29 Oct 2016
Maxime Bonelli and Daniel Mantilla-Garcia
HEC Paris - Finance Department and Universidad de Los Andes - School of Management
Downloads 277 (136,115)

Abstract:

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return predictability, economic constraints, dividend-price ratio, Kalman filter, Bayesian analysis

4.

Idiosyncratic Risk and the Cross-Section of Realized Returns: Reconciling the Aggregate Returns’ Predictability Evidence

Number of pages: 67 Posted: 17 Mar 2010
Daniel Mantilla-Garcia, Lionel Martellini and René Garcia
Universidad de Los Andes - School of Management, EDHEC Business School and Université de Montréal - CIREQ - Département de sciences économiques
Downloads 227 (165,740)

Abstract:

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Idiosyncratic volatility, cross-sectional distribution of returns, predictability of aggregate returns

5.

From Defined-Contribution Towards Target-Income Retirement Systems

Number of pages: 58 Posted: 22 May 2020
Universidad de Los Andes - School of Management, Universidad de los Andes, Colombia - School of Management, Inter-American Development Bank (IDB) and AlphaEngine Global Investment Solutions
Downloads 162 (224,335)
Citation 1

Abstract:

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Asset Allocation, Pension Fund Regulation, Portfolio Insurance, Risk Management

6.

Should a Skeptical Portfolio Insurer Use an Optimal or a Risk-Based Allocation?

Number of pages: 23 Posted: 03 Jun 2014 Last Revised: 30 Apr 2015
Maxime Bonelli and Daniel Mantilla-Garcia
HEC Paris - Finance Department and Universidad de Los Andes - School of Management
Downloads 138 (255,888)
Citation 1

Abstract:

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return predictability, risk-based strategies, asset allocation, portfolio insurance, maximum drawdown

7.

Maximizing the Volatility Return: A Risk-Based Strategy for Homogeneous Groups of Assets

Number of pages: 25 Posted: 02 Mar 2016
Daniel Mantilla-Garcia
Universidad de Los Andes - School of Management
Downloads 133 (263,289)
Citation 1

Abstract:

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Portfolio Optimization, Diversification, Volatility Return, Portfolio Choice

8.

Growth Optimal Portfolio Insurance for Long-Term Investors

Journal Of Investment Management, Forthcoming
Number of pages: 37 Posted: 26 Feb 2014 Last Revised: 26 May 2014
Daniel Mantilla-Garcia
Universidad de Los Andes - School of Management
Downloads 113 (296,418)
Citation 1

Abstract:

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Portfolio Insurance, Asset Allocation, Risk Management

9.

Predicting Stock Returns in the Presence of Uncertain Structural Changes and Sample Noise

Number of pages: 66 Posted: 07 Jul 2015 Last Revised: 28 Jan 2017
Daniel Mantilla-Garcia and Vijay Vaidyanathan
Universidad de Los Andes - School of Management and Optimal Asset Management LLC
Downloads 80 (370,042)
Citation 2

Abstract:

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Return Predictability; Structural Breaks; Dividend-Price Ratio; Estimation Error

10.

Assets' Dependence Structure Implications for Portfolio Insurance

Number of pages: 27 Posted: 26 Sep 2018
Daniel Mantilla-Garcia, Enrique ter Horst, German Molina and Emilien Audeguil
Universidad de Los Andes - School of Management, Universidad de los Andes, Colombia - School of Business Administration, Idalion Capital US LP and Independent
Downloads 66 (411,529)
Citation 1

Abstract:

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tracking error, extreme risk management, copulas, portfolio insurance